I've looked the documentation but there I've found that I should type mysql> CREATE DATABASE menagerie; but I can't find an explaination where I should type it, in what window, how to open this window where to type it.

And I just remember another question about MySQL. So after installing MySQL the only result was appearing in tray an icon of MySQL by autoloading and no any new shorcuts. But when I click this icon appears a window this some sheets and the icon in tray disappears. If I accidently close this window I have no any way how to open it again. So I have a question what windows of MySQL I can open and how.

I was going to try and explain this to you, but then I realized that this is all rather thoroughly explained in the documentation and countless tutorials that can all be found through Google. Please RTFM.